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The Chinese trading halt puzzle 中国停牌之谜
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2026-01-01 Epub Date: 2025-08-07 DOI: 10.1016/j.finmar.2025.101007
Crocker H. Liu , Charles Trzcinka , Ziwei Zhao
{"title":"The Chinese trading halt puzzle","authors":"Crocker H. Liu ,&nbsp;Charles Trzcinka ,&nbsp;Ziwei Zhao","doi":"10.1016/j.finmar.2025.101007","DOIUrl":"10.1016/j.finmar.2025.101007","url":null,"abstract":"<div><div>Chinese firms have the right to initiate trading halts with 42% of halts occurring after a price <em>increase</em>. We examine whether managers suspend trading to increase the signal-to-noise ratio of stock prices. We show that price non-synchronicity, institutional ownership, accounting, and microstructure variables predict a trading halt and explain the positive CARs after a halt. Halts following a price rise add more value relative to a price decline. We find that halts attract mutual funds. Trading suspensions are costly; we estimate that cost of capital rises by 117 bps.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"77 ","pages":"Article 101007"},"PeriodicalIF":2.1,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146071051","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dealer competition in over-the-counter markets 场外交易市场的交易商竞争
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2026-01-01 Epub Date: 2025-07-28 DOI: 10.1016/j.finmar.2025.101004
Alexander Singer
{"title":"Dealer competition in over-the-counter markets","authors":"Alexander Singer","doi":"10.1016/j.finmar.2025.101004","DOIUrl":"10.1016/j.finmar.2025.101004","url":null,"abstract":"<div><div>I examine the information acquisition and pricing of dealers in over-the-counter markets. I develop a theoretical model to show that heterogeneity in the dealers’ information accuracy about opaque market prices can arise endogenously and can explain heterogeneity in various dealer statistics, such as: the best-informed dealers quote the tightest bid–ask spreads, earn the highest margins, trade most frequently, and are least likely to suffer trading losses. Differently put, I show that the friction of opaque prices tends to direct the majority of trading activity/profits to a few core dealers.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"77 ","pages":"Article 101004"},"PeriodicalIF":2.1,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146071008","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Liquidity spillovers: Evidence from two-step spinoffs 流动性溢出：来自两步剥离的证据
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-11-01 Epub Date: 2025-08-05 DOI: 10.1016/j.finmar.2025.101000
Yakov Amihud , Sahn-Wook Huh , Avanidhar Subrahmanyam
{"title":"Liquidity spillovers: Evidence from two-step spinoffs","authors":"Yakov Amihud ,&nbsp;Sahn-Wook Huh ,&nbsp;Avanidhar Subrahmanyam","doi":"10.1016/j.finmar.2025.101000","DOIUrl":"10.1016/j.finmar.2025.101000","url":null,"abstract":"<div><div>How does an idiosyncratic shock to stock liquidity affect liquidity and efficiency in the markets for related stocks? Utilizing the unique feature that the second stage of a two-step spinoff greatly increases the free float of a public firm, we document strong evidence that the enhanced liquidity of spun-off firms spills over to their industry peers, increasing their liquidity. The improved liquidity induces greater pricing efficiency and larger institutional holdings in these stocks. Liquidity spillovers also lead to positive valuation spillovers. Our results concerning liquidity externality and its consequences have important implications for policymakers, regulators, and firm managers.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"76 ","pages":"Article 101000"},"PeriodicalIF":2.1,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145594472","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do designated market makers provide liquidity during downward extreme price movements? 指定做市商在价格极端下跌时提供流动性吗？
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-11-01 Epub Date: 2025-05-23 DOI: 10.1016/j.finmar.2025.100988
Mario Bellia , Kim Christensen , Aleksey Kolokolov , Loriana Pelizzon , Roberto Renò
{"title":"Do designated market makers provide liquidity during downward extreme price movements?","authors":"Mario Bellia ,&nbsp;Kim Christensen ,&nbsp;Aleksey Kolokolov ,&nbsp;Loriana Pelizzon ,&nbsp;Roberto Renò","doi":"10.1016/j.finmar.2025.100988","DOIUrl":"10.1016/j.finmar.2025.100988","url":null,"abstract":"<div><div>We study the trading activity of designated market makers (DMMs) in electronic markets using a unique dataset with audit-trail information on trader classification. DMMs may either adhere to their market-making agreements and offer immediacy during periods of heavy selling pressure, or they might lean-with-the-wind to profit from private information. We test these competing theories during extreme (downward) price movements, which we detect using a novel methodology. We show that DMMs provide liquidity when the selling pressure is concentrated on a single stock, but consume liquidity (leaving liquidity provision to slower traders) when several stocks are affected.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"76 ","pages":"Article 100988"},"PeriodicalIF":2.1,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145594470","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Institutional trading and ESG controversies 机构交易和ESG争议
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-11-01 Epub Date: 2025-07-12 DOI: 10.1016/j.finmar.2025.101003
Lai T. Hoang , Marvin Wee , Joey Wenling Yang , Jing Yu
{"title":"Institutional trading and ESG controversies","authors":"Lai T. Hoang ,&nbsp;Marvin Wee ,&nbsp;Joey Wenling Yang ,&nbsp;Jing Yu","doi":"10.1016/j.finmar.2025.101003","DOIUrl":"10.1016/j.finmar.2025.101003","url":null,"abstract":"<div><div>We examine how and why institutional investors trade differently around firms' negative environmental, social, and governance (ESG) news. We find that they reduce net purchases primarily after the ESG incidents. However, those with higher ESG preferences begin reducing their net purchases before the news breaks, likely to safeguard their ESG reputation and mitigate portfolios' ESG risk. Additionally, institutions’ net purchases decline before negative ESG news in firms with high levels of information asymmetry, leading to abnormal returns, indicating that these institutions are informed and trade in advance for financial gains. In contrast, retail investors appear largely insensitive to ESG incidents.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"76 ","pages":"Article 101003"},"PeriodicalIF":2.1,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145594626","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Social norms and stock lending 社会规范和股票借贷
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-11-01 Epub Date: 2025-05-30 DOI: 10.1016/j.finmar.2025.100991
Danling Jiang , Baixiao Liu , Steven Chong Xiao
{"title":"Social norms and stock lending","authors":"Danling Jiang ,&nbsp;Baixiao Liu ,&nbsp;Steven Chong Xiao","doi":"10.1016/j.finmar.2025.100991","DOIUrl":"10.1016/j.finmar.2025.100991","url":null,"abstract":"<div><div>We examine how social norms measured by religiosity influence institutional investors’ willingness to lend stock and constrain short selling in the U.S. markets. We find that firms with blockholders located in higher religiosity areas are associated with lower supply and higher utilization of lendable shares, but are not related to the demand for stock borrowing. Short interest, utilization rates, and lending fees, when combined with high blockholder religiosity, are stronger negative predictors of future stock returns<span>. Our findings suggest that the social norms of institutional investors serve as a source of limits to arbitrage, which hinders market efficiency through stock lending.</span></div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"76 ","pages":"Article 100991"},"PeriodicalIF":2.1,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145594627","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Risk concerns and market liquidity: A regression discontinuity design 风险关注与市场流动性：一个回归不连续设计
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-11-01 Epub Date: 2025-05-30 DOI: 10.1016/j.finmar.2025.100989
Wenlian Lin , Jerry Cao , Yong Li
{"title":"Risk concerns and market liquidity: A regression discontinuity design","authors":"Wenlian Lin ,&nbsp;Jerry Cao ,&nbsp;Yong Li","doi":"10.1016/j.finmar.2025.100989","DOIUrl":"10.1016/j.finmar.2025.100989","url":null,"abstract":"<div><div>Market liquidity evaporation is often accompanied by heightened risk concerns among investors. We explore a threshold-based risk management strategy underlying this phenomenon, exploiting a unique feature in China's stock market where outside investors can observe whether blockholders of listed firms engage in share pledge financing. This transparency offers investors a clear threshold—the pledge day stock price—to monitor and assess the risks associated with share pledges. Using a regression discontinuity design, we find investors widely employ this threshold-based strategy; when the threshold is breached, they become increasingly cautious, reducing their liquidity provision, leading to a decline in market liquidity.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"76 ","pages":"Article 100989"},"PeriodicalIF":2.1,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145594471","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Trading behavior, asset price, and market quality: Based on probabilistic attitude 交易行为、资产价格和市场质量：基于概率态度
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-11-01 Epub Date: 2025-06-13 DOI: 10.1016/j.finmar.2025.100990
Jianchun Sun, Shunming Zhang
{"title":"Trading behavior, asset price, and market quality: Based on probabilistic attitude","authors":"Jianchun Sun,&nbsp;Shunming Zhang","doi":"10.1016/j.finmar.2025.100990","DOIUrl":"10.1016/j.finmar.2025.100990","url":null,"abstract":"<div><div>We investigate the influence of probabilistic attitude, particularly the probabilistic optimism-pessimism, on trading behavior and market quality. The optimistic attitude leads traders to adventurously hold nonzero discontinuous investment positions, while the pessimistic attitude leads to limited participation. Probabilistic neutrality generates linear equilibrium with state-independent market quality. Optimistic and pessimistic markets exhibit nonlinear equilibria with contrasting features in price premiums, market depth, price impact, and reversed state-dependent traits in price skewness, price volatility, market liquidity, and price efficiency. Our results highlight a decisive role of probabilistic attitude in shaping markets.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"76 ","pages":"Article 100990"},"PeriodicalIF":2.1,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145594473","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
ETF effects: The role of primary versus secondary market activities ETF效应：一级市场与二级市场活动的作用
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-09-01 Epub Date: 2025-05-09 DOI: 10.1016/j.finmar.2025.100983
Carole Comerton-Forde , Thomas Marta
{"title":"ETF effects: The role of primary versus secondary market activities","authors":"Carole Comerton-Forde ,&nbsp;Thomas Marta","doi":"10.1016/j.finmar.2025.100983","DOIUrl":"10.1016/j.finmar.2025.100983","url":null,"abstract":"<div><div>High-frequency traders (HFTs) dominate secondary market trading in exchange-traded funds (ETFs) but do not engage in ETF arbitrage. By contrast, primary market arbitrageurs enforce the law of one price, but their activities are infrequent and limited by arbitrage costs. We find that primary market activity is associated with increased volatility and illiquidity in overweighted ETF constituent stocks, while HFT activity is linked to narrower bid–ask spreads. Using a quasi-natural experiment in Japan, we show that while ETF primary market activity can temporarily disrupt market quality, the liquidity benefits of secondary market trading ultimately outweigh these negative effects.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"75 ","pages":"Article 100983"},"PeriodicalIF":2.1,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145005060","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Institutional granular impact is benign on asset sales and price efficiency 制度层面的影响对资产出售和价格效率是良性的
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2025-09-01 Epub Date: 2025-05-17 DOI: 10.1016/j.finmar.2025.100987
Yinghua Fan , Guanhao Feng , Xiao Qiao , Sayad Baronyan
{"title":"Institutional granular impact is benign on asset sales and price efficiency","authors":"Yinghua Fan ,&nbsp;Guanhao Feng ,&nbsp;Xiao Qiao ,&nbsp;Sayad Baronyan","doi":"10.1016/j.finmar.2025.100987","DOIUrl":"10.1016/j.finmar.2025.100987","url":null,"abstract":"<div><div>We construct two types of trading shocks and examine their effects on stock prices. Common shocks capture the shared trading activity across funds, whereas granular idiosyncratic shocks place emphasis on large players. Common shocks related to stock sales exhibit a significantly stronger price impact than those related to purchases, in contrast to symmetric effects of purchases and sales for granular idiosyncratic shocks. The initial price impact persists in the short run and partially reverses after six months, suggesting underreaction to institutional trading. Our results underscore the impact of the common component across various funds on asset prices and market efficiency.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"75 ","pages":"Article 100987"},"PeriodicalIF":2.1,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145005062","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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